DBRS Confirms and Removes from UR-Dev the Ratings on IRS Term Pmts Re: Kleros Preferred Funding Ltd

DBRS, Inc. (“DBRS”) has today confirmed the AA (high) (sf) ratings to the following Interest Rate Swap Termination Payments including all interest due (“Potential Termination Payment”), which may be owed to the interest rate swap counterparty (“Swap Counterparty”) under an Event of Default, where Kleros Preferred Funding Ltd. (“Kleros”) is the sole defaulting party due to a Failure to Pay or Deliver as defined in section 5(a)(i) of the ISDA Novation Agreement (“Agreement”) executed on May 19, 2011 between Kleros and the Swap Counterparty.

1. Interest Rate Swap - Trade Date 06/03/2005; Termination Date 07/06/2014; Initial Fixed Rate 3.70%; Initial Notional $180,000,000;
2. Basis Swap I - Trade Date 06/07/2007; Termination Date 11/07/2014; Initial Notional $9,900,000;
3. Basis Swap II - Trade Date 06/07/2007; Termination Date 3/10/2014; Initial Notional $39,079,261;
4. Basis Swap III - Trade Date 06/07/2007; Termination Date 1/5/2015; Initial Notional $26,181,220;
5. Basis Swap V - Trade Date 06/07/2007; Termination Date 7/15/2013; Initial Notional $3,020,927;

DBRS has also withdrawn ratings on the following basis swaps referencing Kleros Preferred Funding, Ltd. due to termination.

1. Basis Swap IV - Trade Date 06/07/2007; Termination Date 12/13/2011; Initial Notional $7,471,945
2. Basis Swap VI - Trade Date 06/07/2007; Termination Date 11/9/2011; Initial Notional $9,000,000

The ratings have also been removed from the Under Review with Developing Implications designation. This action reflects the conclusion of the review to determine the impact of the updated methodology “Rating Global Structured Finance CDO Restructurings”.

The principal methodology is Rating Global Structured Finance CDO Restructurings, which can be found on our website under Methodologies.

Note:
All figures are in dollars unless otherwise noted.